This article examines the intraday price discovery process among stock index, index futures, and index options in Germany using DAX index securities and intraday transactions data. The three index securities contribute to a common factor, but the spot index and index futures have substantially...

In this article, the accuracy of analysts' earnings forecasts in China is studied. Chinese-listed firms with foreign ownership need to report their financial statements in accordance with both Chinese and international accounting standards. This reporting environment offers a good testing ground...

This paper examines herding behavior among Hong Kong investors using announcements of the opening of new casinos in Macau. The results show that there is a difference in the herding behavior toward these “Macau concept” stocks before and after the change in investment sentiment regarding...

On September 23, 2002, facing a regulatory mandate issued by the Securities and Exchange Commission, Island teminated the position of the Nasdaq 100 Index Tracking Stock (QQQ) on its book. While the market volume remained almost the same, Island's market share in the QQQ fell significantly....

<section xml:id="fut21652-sec-0001"> This study examines the informativeness of trades and quotes in the FTSE 100 index futures market. Using a tick time model, we decompose the innovation in the efficient price into a trade‐induced and a quote‐induced part. For the extensive time period from 2001 to 2011, we find that trades...</section>